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The New Version of the Model MZE, Macroeconometric Model for the Eurozone

Author

Listed:
  • M. BARLET

    (Drees)

  • M.-É. CLERC

    (Insee)

  • M. GARNERO

    (Drees)

  • V. LAPÈGUE

    (Insee)

  • V. MARCUS

    (SGDD)

Abstract

This paper presents the main improvements carried out to the macroeconometric model MZE since its creation in 2003. We have back-calculated the series over the period 1980-1995, in order to make the model more stable. To our knowledge, this paper is the first application of Kllians (1998) method to estimate coefficients and centered confidence intervals for an operational macroeconometric model. The new coefficients enable to get less inflationary responses to macroeconomic shocks than the previous version of MZE. The study is more nuanced and rigorous thanks to the confidence intervals around the main scenarios. It is thus possible to check the significance of the results at any horizon. At last, the new version of MZE enables to find conventional responses to international shocks, like the inflationary effect of a rise in oil prices or the delayed impact of a depreciation of the euro on the improvement of the trade balance.

Suggested Citation

  • M. Barlet & M.-É. Clerc & M. Garnero & V. Lapègue & V. Marcus, 2011. "The New Version of the Model MZE, Macroeconometric Model for the Eurozone," Documents de Travail de l'Insee - INSEE Working Papers g2011-15, Institut National de la Statistique et des Etudes Economiques.
    • Handle: RePEc:nse:doctra:g2011-15
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    File URL: https://www.bnsp.insee.fr/ark:/12148/bc6p06zr3bx/f1.pdf
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    More about this item

    Keywords

    Macroeconometric modelling; Forecasting; Confidence interval; Bootstrap;
    All these keywords.

    JEL classification:

    • C3 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables
    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling
    • E1 - Macroeconomics and Monetary Economics - - General Aggregative Models
    • E2 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment

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